I order my grains from Homebrewers Outpost, because I don't have a LHBS. I skipped doing extract brews and went straight to all grain. I've got 5 all grains under my belt and they were all just fine.... I'm assuming I am receiving already milled grain. I've never milled any of my grains, how could I tell if they are milled or not. How fine are the grains suppose to be? What would happen If I used grain that was not milled?

The grain isn't actually milled, it's crushed. If you tried to make beer out of uncrushed grain, your efficiency would be extremely poor. So poor in fact, it may not even be considered beer. Your grain is crushed if it's, well, crushed and not whole kernels.

__________________If you can't fix it with a hammer, you've got an electrical problem.

When the grain is properly crushed, it will be approximately 1/3 husk, 1/3 solids, and 1/3 flour. Like Fingers said, uncrushed grain will yield a pathetically weak beer that would probably taste terrible.